This article shows how the application of copulas to real financial data allows to capture and replicate non-linear links between stochastic returns. This is an important approach in risk management because it is surely more appropriate than traditional linear correlation indicators when analyzing random phenomena in financial markets turmoil.

Agosto, A., Mainini, A., Moretto, E. (2018). Use of copulas for Value-at-Risk calculation and backtesting with an application to italian data. RISK MANAGEMENT MAGAZINE, 13(2), 6-14.

Use of copulas for Value-at-Risk calculation and backtesting with an application to italian data

Alessandra Mainini
Secondo
;
Enrico Moretto
2018

Abstract

This article shows how the application of copulas to real financial data allows to capture and replicate non-linear links between stochastic returns. This is an important approach in risk management because it is surely more appropriate than traditional linear correlation indicators when analyzing random phenomena in financial markets turmoil.
Articolo in rivista - Articolo scientifico
Scientifica
Risk management; copulas; stock returns;
Italian
Agosto, A., Mainini, A., Moretto, E. (2018). Use of copulas for Value-at-Risk calculation and backtesting with an application to italian data. RISK MANAGEMENT MAGAZINE, 13(2), 6-14.
Agosto, A; Mainini, A; Moretto, E
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/372696
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